Annual Conference

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Corporate Finance, Senior Fellows/Fellows

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May 2016

Chinese share prices rose sharply on the Politburo's Dec. 4th, 2012, announcement of its Eight-point Regulation, an uncharacteristically detailed and concrete Party policy, initiating an extensive anti-corruption campaign and announced surprisingly soon after a change in leadership. The reaction is ...
Keywords: Anti-Corruption, Marketization, Bribery Intensity, Firm Value
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2016

Launched in Summer 2012, the European Central Bank’s (ECB) Outright Monetary Transactions (OMT) program indirectly recapitalized European banks through its positive impact on periphery sovereign bonds. However, the stability reestablished in the banking sector did not fully translate into economic...
Keywords: monetary policy, Zombie Lending, Banking sector, Cash reserves
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Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2016

This paper proposes using foreign exchange (FX) options with dierent strike prices and maturities (\the term structure of volatility smiles") to capture both FX expectations and risks. Using daily options data for six major currency pairs, we show that the cross section and term structure of options...
Keywords: exchange rates, excess returns, options pricing, volatility smile, risk, term structure of implied volatility, quantile regression
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Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2016

A theory of money needs a proper place for financial intermediaries. Intermediaries diversify risks and create inside money. In downturns, micro-prudent intermediaries shrink their lending activity, fire-sell assets and supply less inside money, exactly when money demand rises. The resulting Fisher ...
Keywords: Monetary Economics, (Inside) Money, Endogenous Risk Dynamics;
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2016

Between 1996 and 2013, India’s central bank injected or drained liquidity from banks through changes in cash reserve requirements. We analyze the lending responses to these quantitative tools of monetary policy using branch level lending data. We focus on the withinbank variation across different ...
Keywords: monetary policy, Banks, India
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